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math.OC2026
An irreversible investment problem with a learning-by-doing feature
Erik Ekström, Yerkin Kitapbayev, Alessandro Milazzo +1
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and expl…
math.OC2025
Global regularity of the value function in a stopper vs. singular-controller game
Andrea Bovo, Alessandro Milazzo
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controll…